Rinse lemon under running hot water. Dry and finely grate the zest. Squeeze out the juice for later use. Combine the chopped rosemary, lemon zest, and olive oil in a bowl.
Preheat the oven to 200C/400F. Clean and thinly slice the mushrooms. Place the sliced mushrooms in a baking pan. Drizzle half of the oil mixture over and season with salt and freshly mulled black pepper.
Bake in the hot oven for 10 minutes. Sprinkle the grated Parmesan over the mushrooms and continue to bake 5 more minutes until the cheese has turned lightly browned. Remove and drizzle the rest of oil mixture and some lemon juice over.